IP Trace/Location Info via IM

I recently started using IP address shield, but something that a family member did/asked recently, took me by surprise.  I sent an IM to a family member, and the next question I got was, what are you doing in location/city X?  Now,  I knew he had an incorrect location because I was going thru a proxy server, but all I said was "Hello. How are you?"  in Yahoo Messenger.  Nothing else.  No file sharing, pic sharing or anything else.  Just a simple hello in Yahoo messenger.  So, now the question is, how was he able to locate the city, just with such a simple act?  Is there a program or plugin or anything we can run to figure out what the IP of the person on the other end is?